Research On The Impact Of QfⅡ Shareholding On Stock Price Synchronicity

Stock price synchronicity,which shows how stock prices move in the same direction. The level of stock price synchronicity was used to evaluation of information content of stock prices.If stock price moves in the same direction highly,then it means the market can explain large amount of price,and then the firm-specific information in the price is little.On the contrast, low synchronicity means high level of information content in the price. There is seriously speculating phenomenon and sector rotation happens frequently, and Stock price synchronicity is high in our country.Since 2002, China has implemented the Qualified Foreign Institutional Investor (QFⅡ) Scheme under the background of economic globalization, Hoping to improve the investment philosophy in securities markets,reduce the stock price synchronicity, increase the capital efficiency in capital market. Whether the QFⅡshareholding can reduce the stock price synchronicity? This paper did the empirical research about it with a-shares capital market data of 2003-2009.In this paper, we observe the different time in QFⅡinvestment, and use facts research method for Speculative Short Term behavior research. Empirical evidence show us that QFⅡmay not operate according to value investment, with speculative behavior taking part in it. Value investment is of great help in improving the information in stock prices, reducing stock price synchronicity; and the speculative behavior will increase the stock price synchronicity. Trade activities of QFⅡwill decrease the stock price synchronicity no matter how they invest. QFⅡstock owning have different influence to stock price synchronicity n in bull-market and bear-market, showing that the information environment have shown some influence for the relationship between QFⅡshareholding and stock prices synchronicity. At last, some policy suggestions are proposed, hoping to better the QFⅡand improve the efficiency in our stock markets.